Citations for "Improving forecast accuracy by combining recursive and rolling forecasts"
by Todd E. Clark & Michael W. McCracken
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- Pesaran, M.H. & Pick, A., 2008.
"Forecasting Random Walks Under Drift Instability,"
Cambridge Working Papers in Economics
0814, Faculty of Economics, University of Cambridge.
- Craig S. Hakkio, 2008.
"PCE and CPI inflation differentials: converting inflation forecasts,"
Economic Review,
Federal Reserve Bank of Kansas City, issue Q I, pages 51-68.
- Henzel, Steffen R. & Mayr, Johannes, 2013.
"The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study,"
The North American Journal of Economics and Finance,
Elsevier, vol. 24(C), pages 1-24.
- Todd E. Clark & Michael W. McCracken, 2008.
"Averaging forecasts from VARs with uncertain instabilities,"
Working Papers
2008-030, Federal Reserve Bank of St. Louis.
- David E. Rapach & Jack K. Strauss, 2008.
"Structural breaks and GARCH models of exchange rate volatility,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
- Clark, Todd E. & West, Kenneth D., 2006.
"Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis,"
Journal of Econometrics,
Elsevier, vol. 135(1-2), pages 155-186.
- Todd E. Clark & Kenneth D. West, 2005.
"Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference,"
NBER Technical Working Papers
0305, National Bureau of Economic Research, Inc.
- Chanont Banternghansa & Michael W. McCracken, 2011.
"Real-time forecast averaging with ALFRED,"
Review,
Federal Reserve Bank of St. Louis, issue Jan, pages 49-66.
- Leonardo Morales-Arias & Alexander Dross, 2010.
"Adaptive Forecasting of Exchange Rates with Panel Data,"
Research Paper Series
285, Quantitative Finance Research Centre, University of Technology, Sydney.
- Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip & Etienne, Xiaoli, 2012.
"Composite and Outlook Forecast Accuracy,"
Journal of Agricultural and Resource Economics,
Western Agricultural Economics Association, vol. 37(2), August.
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011.
"Nowcasting GDP in real-time: A density combination approach,"
Working Paper
2011/11, Norges Bank.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010.
"Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules,"
Working Papers
2010-008, Federal Reserve Bank of St. Louis.
- Fabio Busetti & Juri Marcucci & Giovanni Veronese, 2009.
"Comparing forecast accuracy: A Monte Carlo investigation,"
Temi di discussione (Economic working papers)
723, Bank of Italy, Economic Research and International Relations Area.
- Barbara Rossi & Atsushi Inoue, 2011.
"Out-of-sample forecast tests robust to the choice of window size,"
Working Papers
11-31, Federal Reserve Bank of Philadelphia.
- Colino, Evelyn V. & Irwin, Scott H. & Garcia, Philip, 2008.
"How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market,"
2008 Conference, April 21-22, 2008, St. Louis, Missouri
37620, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Calista Cheung & Frédérick Demers, 2007.
"Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation,"
Working Papers
07-8, Bank of Canada.
- Prasad S Bhattacharya & Dimitrios D Thomakos, 2011.
"Improving forecasting performance by window and model averaging,"
Economics Series
2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Todd E. Clark & Michael W. McCracken, 2006.
"Forecasting of small macroeconomic VARs in the presence of instabilities,"
Research Working Paper
RWP 06-09, Federal Reserve Bank of Kansas City.
- Johannes Mayr & Dirk Ulbricht, 2007.
"VAR Model Averaging for Multi-Step Forecasting,"
Ifo Working Paper Series
Ifo Working Paper No. 48, Ifo Institute for Economic Research at the University of Munich.
- Prasad S Bhattacharya & Dimitrios D Thomakos, 2011.
"Improving forecasting performance by window and model averaging,"
CAMA Working Papers
2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- David Hendry & Michael P. Clements, 2010.
"Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts,"
Economics Series Working Papers
484, University of Oxford, Department of Economics.
